Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0001
Annualized Std Dev 0.0064
Annualized Sharpe (Rf=0%) -0.0123

Row

Daily Return Statistics

Close
Observations 3476.0000
NAs 1.0000
Minimum -0.0043
Quartile 1 -0.0001
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0001
Maximum 0.0044
SE Mean 0.0000
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0000
Variance 0.0000
Stdev 0.0004
Skewness -1.8928
Kurtosis 36.4010

Downside Risk

Close
Semi Deviation 0.0003
Gain Deviation 0.0003
Loss Deviation 0.0005
Downside Deviation (MAR=210%) 0.0083
Downside Deviation (Rf=0%) 0.0003
Downside Deviation (0%) 0.0003
Maximum Drawdown 0.0123
Historical VaR (95%) -0.0004
Historical ES (95%) -0.0011
Modified VaR (95%) -0.0006
Modified ES (95%) -0.0006
From Trough To Depth Length To Trough Recovery
2008-09-30 2015-12-09 NA -0.0123 3140 1812 NA
2008-09-18 2008-09-19 2008-09-29 -0.0063 8 2 6
2007-08-21 2007-10-02 2008-09-17 -0.0056 272 30 242
2007-07-02 2007-08-03 2007-08-20 -0.0050 35 24 11
2007-06-12 2007-06-12 2007-06-13 -0.0009 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0 0 -0.4 0 -0.2 -0.3 0 0 -0.9
2008 -0.3 0 -0.2 0 0 -0.1 -0.2 0 -0.2 -0.1 0.2 -0.2 -1
2009 0.1 0.1 0 0 -0.1 0 -0.1 -0.1 -0.1 0 0 0 0
2010 0 0 0 0 0 0 0 0 0 0 0 0 -0.1
2011 0 0 0 0 0 0 0 0 0 0 0 0 0
2012 0 0 0 0 0 0 0 0 0 0 0 0 -0.1
2013 0 0 0 0 0 0 0 0 0 0 0 0 -0.1
2014 0 0 0 0 0 0 0 0 0 0 0 0 0.1
2015 0 0 0 0 0 0 0 0 0 0 0 0 -0.1
2016 0 0 0 0 0 0 0 0 0 0 0 0 0
2017 0 -0.1 0 0 0 0 0 -0.1 0 -0.1 -0.1 0 -0.4
2018 -0.1 -0.1 0 -0.1 -0.1 0 -0.1 0 -0.2 -0.1 0 0 -0.8
2019 -0.2 -0.2 -0.2 -0.2 0 -0.2 -0.1 0 -0.2 -0.2 0 0 -1.3
2020 0 0 -0.1 0 0 0 0 0 0 0 0 0 -0.1
2021 0 0 0 NA NA NA NA NA NA NA NA NA 0

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart